[问答] JJ检验结果怎么读，急！ [推广有奖]

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jkiter 发表于 2015-5-20 13:41:28 |AI写论文

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Date: 05/20/15 Time: 13:16
Sample (adjusted): 4 37
Included observations: 34 after adjustments
Trend assumption: Linear deterministic trend
Series: LNCPICHI LNECJAP LNJAP LNPERJAP
Lags interval (in first differences): 1 to 2

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None *    0.543086    50.40187    47.85613    0.0283
At most 1    0.367866    23.77106    29.79707    0.2103
At most 2    0.139898    8.176843    15.49471    0.4467
At most 3    0.085878    3.052892    3.841466    0.0806

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None    0.543086    26.63081    27.58434    0.0658
At most 1    0.367866    15.59421    21.13162    0.2494
At most 2    0.139898    5.123951    14.26460    0.7261
At most 3    0.085878    3.052892    3.841466    0.0806

Max-eigenvalue test indicates no cointegration at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

LNCPICHI LNECJAP LNJAP LNPERJAP
-8.766051    21.21062 -14.38056    96.51112
10.94712 -16.30368    20.81598 -16.91132
10.08572    17.20030 -13.86106    48.94761
-10.58803 -5.243994 -6.349957    15.94167

Unrestricted Adjustment Coefficients (alpha):

D(LNCPICHI)    0.561814 -0.437868    0.019203 -0.273701
D(LNECJAP)    0.135936 -0.112430 -0.008151 -0.073316
D(LNJAP)    0.238254 -0.233041    0.001817 -0.113220
D(LNPERJAP)    0.722790 -0.571995    0.026765 -0.356914

1 Cointegrating Equation(s): Log likelihood    158.8117

Normalized cointegrating coefficients (standard error in parentheses)
LNCPICHI LNECJAP LNJAP LNPERJAP
1.000000 -2.419632    1.640483 -11.00965
   (0.67352)    (0.55684)    (2.24370)

Adjustment coefficients (standard error in parentheses)
D(LNCPICHI) -4.924894
   (2.30661)
D(LNECJAP) -1.191621
   (0.60144)
D(LNJAP) -2.088544
   (1.05052)
D(LNPERJAP) -6.336011
   (3.00347)

2 Cointegrating Equation(s): Log likelihood    166.6088

Normalized cointegrating coefficients (standard error in parentheses)
LNCPICHI LNECJAP LNJAP LNPERJAP
1.000000    0.000000    2.319359    13.60704
   (0.73569)    (3.87225)
0.000000    1.000000    0.280570    10.17373
   (0.35560)    (1.87170)

Adjustment coefficients (standard error in parentheses)
D(LNCPICHI) -9.718286    19.05529
   (3.47081)    (6.62084)
D(LNECJAP) -2.422410    4.716313
   (0.90678)    (1.72976)
D(LNJAP) -4.639667    8.852926
   (1.54260)    (2.94264)
D(LNPERJAP) -12.59771    24.65643
   (4.51750)    (8.61747)

3 Cointegrating Equation(s): Log likelihood    169.1708

Normalized cointegrating coefficients (standard error in parentheses)
LNCPICHI LNECJAP LNJAP LNPERJAP
1.000000    0.000000    0.000000 -0.904634
   (1.50222)
0.000000    1.000000    0.000000    8.418273
   (1.37422)
0.000000    0.000000    1.000000    6.256762
   (1.74891)

Adjustment coefficients (standard error in parentheses)
D(LNCPICHI) -9.524612    19.38558 -17.46002
   (4.27461)    (7.87023)    (7.13865)
D(LNECJAP) -2.504619    4.576112 -4.182199
   (1.11655)    (2.05575)    (1.86466)
D(LNJAP) -4.621341    8.884179 -8.302374
   (1.90008)    (3.49834)    (3.17315)
D(LNPERJAP) -12.32776    25.11679 -22.67173
   (5.56359)    (10.2434)    (9.29126)

我知道是有一个协整关系，这份检验报告应的其他关键值该怎么看？Log likelihood是什么，越大越好还是越小越好？具体的协整方程系数应该选哪一个？